What?
This is so called "Fed model" proposed by Ed yardeni in late 90's and has been discredited since. For starter's, S&P earnings yield is in "real"...
Got it. Thanks
I see. Are you running this ETF system, same target vol. as futures trading?
I think you mentioned you choose from 40 or 45 ETFs based on their highest trend value. Can you post the list from which you are considering?...
There is an excellent thread in this forum, which is somewhat similar to CTA style trend following....
True. In my post i mentioned diversifying across factors (momentum, value etc) in different asset classes, which is different than what OP wanted.
Time series momentum will never pick up true market top or bottom, but tends to avoid major draw-down during time of distress. One could employ...
Some what disagree. That is true only if one concentrates only in one asset class like equities Time series momentum performs better during...
You can also diversify across the factors: *Value/Momentum *Small *Hign Beta / Minimum Variance *Quality/Junk *Carry *Short Index vol vs...
You have to look at total returns. SPX has more than doubled during the time period you specified.
Take a look at this article. Based on the article, Leverage ETF return can be estimated based on expected mean and variance....
My charts came from Reuters Xenith platform. noddyboy's chart is from Bloomberg
For me atleast, when I think of hedging, I think in terms of SD rather than 10% away. While correlation is +ve, it runs around 0.25. CBOE Skew...
Even though it is not very popular, I like Nations Skew index. It is much better measure than CBOE SKEW chart presented upthread....
add to the above, 401k withdrawals are considered as income, not capital gains as your first sentence suggests.
Clueless post. Many of the trading ideas came from academics. Many of the etf's espouses academic innovations of "Factor" beta's. Many of the...
It would be interesting to see these leverage based on fixed income bets and equity bets. If they are levering up on fixed income side compared...
I recently bought similar machine with 128GB ram and 512 SSD. This machine is well built and can be upgraded very easily and super quiet....
I think this is disallowed, if it follows the same index. SPY/VOO can be loss harvested with VTI or other total stock market ETF's
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